Taiwanese Journal of Mathematics

SADDLE POINT CRITERIA AND THE EXACT MINIMAX PENALTY FUNCTION METHOD IN NONCONVEX PROGRAMMING

Tadeusz Antczak

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Abstract

A new characterization of the exact minimax penalty function method is presented. The exactness of the penalization for the exact minimax penalty function method is analyzed in the context of saddle point criteria of the Lagrange function in the nonconvex differentiable optimization problem with both inequality and equality constraints. Thus, new conditions for the exactness of the exact minimax penalty function method are established under assumption that the functions constituting considered constrained optimization problem are invex with respect to the same function $\eta $ (exception with those equality constraints for which the associated Lagrange multipliers are negative - these functions should be assumed to be incave with respect to the same function $\eta $). The threshold of the penalty parameter is given such that, for all penalty parameters exceeding this treshold, the equivalence holds between a saddle point of the Lagrange function in the considered constrained extremum problem and a minimizer in its associated penalized optimization problem with the exact minimax penalty function.

Article information

Source
Taiwanese J. Math., Volume 17, Number 2 (2013), 559-581.

Dates
First available in Project Euclid: 10 July 2017

Permanent link to this document
https://projecteuclid.org/euclid.twjm/1499705954

Digital Object Identifier
doi:10.11650/tjm.17.2013.1823

Mathematical Reviews number (MathSciNet)
MR3044523

Zentralblatt MATH identifier
1279.49022

Subjects
Primary: 49M30: Other methods 90C26: Nonconvex programming, global optimization 90C30: Nonlinear programming

Keywords
exact minimax penalty function method minimax penalized optimization problem exactness of the exact minimax penalty function saddle point invex function

Citation

Antczak, Tadeusz. SADDLE POINT CRITERIA AND THE EXACT MINIMAX PENALTY FUNCTION METHOD IN NONCONVEX PROGRAMMING. Taiwanese J. Math. 17 (2013), no. 2, 559--581. doi:10.11650/tjm.17.2013.1823. https://projecteuclid.org/euclid.twjm/1499705954


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